133
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Are investors’ portfolios enhanced by incorporating CTA index funds?

&

References

  • Bubak, V., Kocenda, E. and Zikes, F. (2011) Volatility transmission in emerging European foreign exchange markets, Journal of Banking & Finance, 35, 2829–41.
  • Chan, K., Chan, K. C. and Karolyi, A. (1991) Intraday volatility in the stock index and stock index futures markets, Review of Financial Studies, 4, 657–84.
  • Chan, K. A. (1992) Further analysis of the lead-lag relationship between the cash market and stock index futures market, Review of Financial Studies, 5, 123–51.
  • Chen, J., Buckland, R. and Williams, J. (2011) Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets, Pacific-Basin Finance Journal, 19, 351–73.
  • Chen, Y. L. and Gau, Y. F. (2010) News announcements and price discovery in foreign news exchange spot and futures markets, Journal of Banking & Finance, 34, 1628–36.
  • Eun, C. S. and Shim, S. (1989) International transmission of stock market movements, Journal of Financial and Quantitative Analysis, 24, 241–56.
  • Farooq, M., Ewing, B. and Payne, J. (2005) Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns, Canadian Journal of Economics, 38, 1037–56.
  • Kanas, A. (2000) Volatility spillovers between stock returns and exchange rate changes: international evidence, Journal of Business Finance and Accounting, 27, 447–68.
  • Markowitz, H. (1952) Portfolio selection, Journal of Finance, 7, 60–91.
  • Schneeweis, T., Spurgin, R. and Szado, E. (2013) Managed futures research: a composite CTA performance review, The Journal of Alternative Investments, 15, 32–61.
  • Wu, F., Guan, Z. and Myers, R. J. (2011) Volatility spillover effects and cross hedging in corn and crude oil futures, Journal of Futures Markets, 31, 1052–75.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.